Numerical solution of linear stochastic differential equations

Csaba Török

doi:10.1016/0898-1221(94)90050-7

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Numerical solution of linear stochastic differential equations

Csaba Török

Year: 1994 Journal: Computers & Mathematics with Applications Vol: 27 (4)Pages: 1-10 Publisher: Elsevier BV

DOI: 10.1016/0898-1221(94)90050-7

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Keywords:

Mathematics Applied mathematics Stochastic differential equation Exponential integrator Stochastic partial differential equation Mathematical analysis Backward differentiation formula Linear differential equation Numerical partial differential equations Differential equation Differential algebraic equation Ordinary differential equation

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Stochastic processes and financial applications

Social Sciences → Economics, Econometrics and Finance → Finance

Insurance, Mortality, Demography, Risk Management

Social Sciences → Social Sciences → Demography

Meteorological Phenomena and Simulations

Physical Sciences → Earth and Planetary Sciences → Atmospheric Science

Numerical solution of linear stochastic differential equations

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